Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 20 is Best) 3 3 4
Score 1.61 0.86 2.52
Market Cap (Millions USD) 7198.77 7283.69 7481.44
Predicted Beta 2.45 2.48 2.47
Idiosyncratic Volatility 2.29 3.15 3.84

Annualized return and volatility

IJK
Annualized Return 0.0770
Annualized Std Dev 0.2091
Annualized Sharpe (Rf=0%) 0.3682

Row

Daily Return Statistics

IJK
Observations 4966.0000
NAs 148.0000
Minimum -0.0981
Quartile 1 -0.0057
Median 0.0008
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0069
Maximum 0.0861
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0007
Variance 0.0002
Stdev 0.0132
Skewness -0.2273
Kurtosis 5.2789

Downside Risk

IJK
Semi Deviation 0.0096
Gain Deviation 0.0090
Loss Deviation 0.0101
Downside Deviation (MAR=210%) 0.0142
Downside Deviation (Rf=0%) 0.0094
Downside Deviation (0%) 0.0094
Maximum Drawdown 0.5448
Historical VaR (95%) -0.0208
Historical ES (95%) -0.0315
Modified VaR (95%) -0.0207
Modified ES (95%) -0.0358
From Trough To Depth Length To Trough Recovery
2008-06-06 2008-11-20 2010-11-04 -0.5448 620 120 500
2000-09-05 2002-10-09 2005-11-17 -0.4620 1332 534 798
2011-07-08 2011-10-03 2012-09-13 -0.2574 305 62 243
2018-09-17 2018-12-24 2019-11-27 -0.2395 307 70 237
2015-08-18 2016-02-11 2016-07-11 -0.1846 229 125 104

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec IJK
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA NA NA 0.5 1.1 0.0 0.2 2.9 0 4.8
2001 -1.1 -0.2 0.0 1.4 0.8 0.0 0.6 0.0 -2.5 1.3 0.0 0 0.2
2002 -0.4 2.6 0.1 0.1 0.0 -3.0 -2.5 0.0 1.4 1.9 0.0 0 0.1
2003 0.0 0.0 -0.2 0.1 0.0 0.8 -1.0 0.0 1.9 0.0 1.5 0 3.2
2004 0.0 2.0 1.0 0.0 0.4 -1.0 0.0 0.7 1.6 -0.2 1.1 0 5.7
2005 0.5 0.6 -0.3 0.0 0.8 0.4 0.3 -0.7 0.0 1.3 1.2 0 4.0
2006 0.5 1.6 0.0 -0.3 1.4 0.0 -0.8 0.8 0.0 -1.3 0.0 0 1.9
2007 1.0 -0.4 0.0 0.4 0.6 0.0 0.2 0.0 1.3 -2.0 0.0 0 1.0
2008 2.3 0.0 3.1 0.6 0.0 0.3 -0.1 0.0 -1.3 0.0 -9.8 0 -5.4
2009 0.0 0.0 0.9 0.3 3.7 0.7 0.0 -1.9 -2.7 0.0 1.6 0 2.3
2010 1.5 2.1 1.1 0.0 -2.5 -0.4 0.0 3.3 0.1 -0.1 1.9 0 7.1
2011 1.3 -1.7 0.5 0.0 -2.3 1.7 -0.6 -1.5 0.0 -3.2 -0.4 0 -6.2
2012 1.8 0.9 0.0 0.5 -3.3 0.0 -0.9 0.0 -0.5 2.4 0.0 0 0.7
2013 0.8 -0.2 -1.1 -1.8 0.0 1.0 2.2 0.0 1.6 0.3 0.0 0 2.8
2014 0.0 0.0 1.2 0.3 0.0 1.0 -0.2 0.0 -1.4 0.0 -1.5 0 -0.7
2015 0.0 0.0 -0.4 1.1 0.3 0.5 0.0 -2.7 -0.2 0.0 0.8 0 -0.6
2016 0.2 2.3 0.7 0.0 0.4 0.1 0.2 0.1 0.0 -1.0 -0.5 0 2.4
2017 -0.2 1.6 0.0 0.5 1.4 0.0 0.4 0.3 0.0 -0.3 -0.3 0 3.4
2018 0.3 -0.5 0.0 0.6 0.7 0.0 -0.2 0.0 -0.8 2.2 0.0 0 2.2
2019 0.3 0.8 1.1 -1.1 0.0 0.3 -1.0 0.0 -1.7 1.3 0.0 0 0.0

Row

Rolling Performance Chart

Snail Trail Chart